A Comparison of High-Frequency Cross-Correlation Measures

Abstract

On a high-frequency scale the time series are not homogeneous, therefore standard correlation measures can not be directly applied to the raw data. There are two ways to deal with this problem. The time series can be homogenised through an interpolation method \cite{Dacorogna} (linear or previous tick) and then the Pearson correlation statistic computed. Recently, methods that can handle raw non-synchronous time series have been developed \cite{Reno1,deJong}. This paper compares two traditional methods that use interpolation with an alternative method applied directly to the actual time series.